Fitch: Global CDOs Generally Unaffected by Mirant & Loral Bankruptcy Filings.

Business Editors

NEW YORK--(BUSINESS WIRE)--July 22, 2003

Fitch Ratings examined all Fitch-rated collateralized debt obligation (CDO) transactions for exposure to either Mirant or Loral Space & Communication debt obligations following the filing of bankruptcy papers by Mirant Corp. (MIR), and its affiliates, and Loral Space & Communication (Loral) on July 15, 2003. Approximately 55 U.S. CDOs and eight European CDOs were identified with a combined exposure of approximately $182 million to MIR debt, $141 million to Mirant Americas Generation, Inc. (MAGI) and approximately $60 million to Loral debt.

Recent market prices on MIR, MAGI and Loral debt were approximately 45%, 75% and 25% of par, respectively. If these recoveries reflect final valuations, Fitch would expect there to be few CDOs affected. The primary reasons for placing few transactions on Rating Watch include the relatively small concentrations of MIR or Loral debt within the CDO, the high recovery rate expected on specific entities, and recent rating actions in which the credit migration had previously been incorporated.

"Mirant may end up being the largest U.S. bankruptcy in 2003, however, the CDO market will be relatively unaffected by the default in part because the anticipated recoveries on the Mirant Americas debt are comfortably greater than those assumed in our credit models," said Kevin Kendra, Director, CDO Performance Analytics, New York. "Although the Loral recoveries are expected to be significantly lower, Fitch has been treating it as a credit impaired asset in our modeling assumptions for quite some time. Of somewhat a greater concern are synthetic transactions which reference Mirant Corp. debt with lower indicative recoveries." Approximately $160 million of the total MIR exposure is spread amongst fifteen synthetic CDOs between the U.S. and Europe.

In London, Fitch has to date received a credit event notice on MIR from three synthetic CDOs. Conversations with the issuing banks indicate that credit events from several other synthetic CDOs are expected over the next two months. "Initial indications suggest recoveries at around 40% of the reference notional amount on Mirant Corp., which on balance compare favourably to those recoveries observed in Fitch's credit event study published earlier this year," said Shaun Baddeley, Director, CDO Performance Analytics, London.

Fitch will continue to monitor the credit event notifications and final valuations on these CDOs over the coming months.

Nineteen tranches from seven global CDOs, representing approximately 12.6% of the exposed CDOs, have sufficient exposure to MIR, and other migrated credits, to warrant placement of their ratings on Rating Watch Negative.

The securities placed on Rating Watch Negative are as follows:

EPOCH 2000-1, Ltd.

-- Class I secured floating-rate notes 'A-';

-- Class II secured floating-rate notes 'BBB+';

-- Class III secured floating-rate notes 'BBB-';

-- Class IV secured floating-rate notes 'CCC-';

-- Class V secured floating-rate notes 'CC'.

EPOCH 2001-1, Ltd.

-- Class II secured floating-rate notes 'AA-';

-- Class III secured floating-rate notes 'BBB-';

-- Class IV secured floating-rate notes 'CCC+'.

EPOCH 2001-2, Ltd.

-- Class III secured floating-rate notes 'A';

-- Class IV A secured floating-rate notes 'B';

-- Class IV B secured fixed-rate notes 'B';

-- Class V secured floating-rate notes 'CCC+'.

Helix Capital (Netherlands) B.V.

-- Series 2001-9 variable redemption limited recourse notes 'C';

-- Series 2001-9a variable redemption limited recourse notes

'A+'.

Helix Capital (Netherlands) B.V.

-- Series 2001-5 variable redemption limited recourse notes 'CC';

-- Series 2001-5a variable redemption limited recourse notes

'AAA'.

Spices Finance Limited Series 1 (PEAS)

-- Class I floating-rate notes 'AAA';

-- Class II floating-rate notes 'CCC'.

Spices Finance Limited Series 2 (PEAS)

-- Secured callable floating-rate notes 'CC'.

Fitch is currently reviewing these transactions in detail and appropriate action will be taken when the analysis has been completed.